No, money doesn’t have to have “gone somewhere”. This is an economics question, not a history question. Very briefly: The money supply (M1) is counted by economists as all the coins, notes and balances of current bank accounts. When money is deposited in bank accounts, banks can make loans and the balance of these loans is also part of the money supply because it is either in circulation or deposited in other bank accounts. This means that banks, by making loans, increase the money supply. When banks stop making loans, the money supply decreases. During the depression businesses were not willing to borrow money or the banks to lend. The speed at which money circulates also effects the money supply. If people are less willing to spend, and hold what money they have longer, less money is available and the money supply is reduced.

Reference: Any basic economics text book